Interpretation Note

The FAQ for [MAR21.8] specifies that inflation and cross-currency bases should be considered for Vega risk factors, without an underlying residual maturity dimension. However, [MAR21.93] and [MAR21.94] do not specify the correlation parameter $\rho_{kl}$ when one of the underlyings is an Inflation or Basis curve (and hence do not have an underlying maturity).

In the FRTB Accelerator , when one of the underlying curves is an inflation or cross-currency basis curve, we use [MAR21.94] with $\rho_{kl}^{(DELTA)}$ equal to 0% or 40% as determined by [MAR21.48] and [MAR21.49].

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